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State-dependent Hawkes processes and their application to limit order book modelling
Morariu-Patrichi, Maxime; Pakkanen, Mikko S. - In: Quantitative finance 22 (2022) 3, pp. 563-583
Persistent link: https://www.econbiz.de/10013167781
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Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin - In: Quantitative finance 22 (2022) 3, pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
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Liquidity fluctuations and the latent dynamics of price impact
Mertens, Luca Philippe; Ciacci, Alberto; Lillo, Fabrizio; … - In: Quantitative finance 22 (2022) 1, pp. 149-169
Persistent link: https://www.econbiz.de/10012872529
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CME iceberg order detection and prediction
Zotikov, Dmitry; Antonov, Anton - In: Quantitative finance 21 (2021) 11, pp. 1977-1992
Persistent link: https://www.econbiz.de/10012696802
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Algorithmic trading in a microstructural limit order book model
Abergel, Frédéric; Huré, Côme; Pham, Huyên - In: Quantitative finance 20 (2020) 8, pp. 1263-1283
Persistent link: https://www.econbiz.de/10012262662
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Modifying a simple agent-based model to disentangle the microstructure of Chinese and US stock markets
Ji, Jingru; Wang, Donghua; Tu, JingQing - In: Quantitative finance 18 (2018) 12, pp. 2067-2083
Persistent link: https://www.econbiz.de/10012262968
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The information content of high-frequency traders aggressive orders : recent evidence
Saliba, Pamela - In: Quantitative finance 20 (2020) 11, pp. 1779-1794
Persistent link: https://www.econbiz.de/10012295637
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High-dimensional Hawkes processes for limit order books : modelling, empirical analysis and numerical calibration
Lu, Xiaofei; Abergel, Frédéric - In: Quantitative finance 18 (2018) 2, pp. 249-264
Persistent link: https://www.econbiz.de/10011905913
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Point and density prediction of intra-day volume using Bayesian linear ACV models : evidence from the Polish stock market
Huptas, Roman - In: Quantitative finance 18 (2018) 5, pp. 749-760
Persistent link: https://www.econbiz.de/10011907915
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Linear models for the impact of order flow on prices, I.: History dependent impact models
Taranto, Damian Eduardo; Bormetti, Giacomo; Bouchaud, … - In: Quantitative finance 18 (2018) 6, pp. 903-915
Persistent link: https://www.econbiz.de/10011910928